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Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
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- Changqing, Luo & Chi, Xie & Cong, Yu & Yan, Xu, 2015. "Measuring financial market risk contagion using dynamic MRS-Copula models: The case of Chinese and other international stock markets," Economic Modelling, Elsevier, vol. 51(C), pages 657-671.
- Marcela de Marillac Carvalho & Luiz Otávio de Oliveira Pala & Gabriel Rodrigo Gomes Pessanha & Thelma Sáfadi, 2021. "Asymmetric dependence of intraday frequency components in the Brazilian stock market," SN Business & Economics, Springer, vol. 1(6), pages 1-18, June.
- Kenourgios, Dimitris, 2014. "On financial contagion and implied market volatility," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 21-30.
- Long, Wen & Zhao, Manyi & Tang, Yeran, 2021. "Can the Chinese volatility index reflect investor sentiment?," International Review of Financial Analysis, Elsevier, vol. 73(C).
- Tian, Meiyu & Li, Wanyang & Wen, Fenghua, 2021. "The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
- Smales, Lee A., 2022. "Spreading the fear: The central role of CBOE VIX in global stock market uncertainty," Global Finance Journal, Elsevier, vol. 51(C).
- Chen, Chun-Da & Chiang, Shu-Mei & Huang, Tze-Chin, 2020. "The contagion effects of volatility indices across the U.S. and Europe," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Liu, Ming-Lei & Ji, Qiang & Fan, Ying, 2013. "How does oil market uncertainty interact with other markets? An empirical analysis of implied volatility index," Energy, Elsevier, vol. 55(C), pages 860-868.
- Lin, Weinan & Ouyang, Ruolan & Zhang, Xuan & Zhuang, Chengkai, 2023. "Network analysis of international financial markets contagion based on volatility indexes," Finance Research Letters, Elsevier, vol. 56(C).
- Yuri Salazar & Wing Ng, 2015. "Nonparametric estimation of general multivariate tail dependence and applications to financial time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 121-158, March.
- Brice V. Dupoyet & Corey A. Shank, 2018. "Oil prices implied volatility or direction: Which matters more to financial markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 275-295, August.
- Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
- Hau, Liya & Zhu, Huiming & Huang, Rui & Ma, Xiang, 2020. "Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression," Energy, Elsevier, vol. 213(C).
- Santanu Das, 2016. "Cointegration of Bombay Stock Exchange with Major Asian Markets—A Copula Approach," Global Business Review, International Management Institute, vol. 17(3), pages 566-581, June.
- Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.
- Wei Zhou, 2017. "Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 207-230, August.
- Dawar, Ishaan & Dutta, Anupam & Bouri, Elie & Saeed, Tareq, 2021. "Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression," Renewable Energy, Elsevier, vol. 163(C), pages 288-299.
- Boateng, Ebenezer & Adam, Anokye M. & Junior, Peterson Owusu, 2021. "Modelling the heterogeneous relationship between the crude oil implied volatility index and African stocks in the coronavirus pandemic," Resources Policy, Elsevier, vol. 74(C).
- Albulescu, Claudiu Tiberiu & Aubin, Christian & Goyeau, Daniel & Tiwari, Aviral Kumar, 2018. "Extreme co-movements and dependencies among major international exchange rates: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 56-69.
- Badshah, Ihsan & Bekiros, Stelios & Lucey, Brian M. & Uddin, Gazi Salah, 2018. "Asymmetric linkages among the fear index and emerging market volatility indices," Emerging Markets Review, Elsevier, vol. 37(C), pages 17-31.
- Simona Moagăr-Poladian & Dorina Clichici & Cristian-Valeriu Stanciu, 2019. "The Comovement of Exchange Rates and Stock Markets in Central and Eastern Europe," Sustainability, MDPI, vol. 11(14), pages 1-22, July.
- Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stöber, 2017. "Regime Switching Vine Copula Models for Global Equity and Volatility Indices," Econometrics, MDPI, vol. 5(1), pages 1-38, January.
- Kae-Yih Tzeng & Joseph Chang Pying Shieh, 2016. "The transmission from equity markets to commodity markets in crises periods," Applied Economics, Taylor & Francis Journals, vol. 48(48), pages 4666-4689, October.
- Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober, 2016. "Regime switching vine copula models for global equity and volatility indices," Papers 1604.05598, arXiv.org.
- Lee, Hsiu-Chuan & Lee, Yun-Huan & Nguyen, Cuong, 2023. "Tail comovements of implied volatility indices and global index futures returns predictability," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
- Herrera, R. & Clements, A.E., 2018.
"Point process models for extreme returns: Harnessing implied volatility,"
Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
- R Herrera & Adam Clements, 2015. "Point process models for extreme returns: Harnessing implied volatility," NCER Working Paper Series 104, National Centre for Econometric Research.
- Aboura, Sofiane & Chevallier, Julien, 2015.
"Geographical diversification with a World Volatility Index,"
Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
- Julien Chevallier & Sofiane Aboura, 2015. "Geographical Diversification with a World Volatility Index," Post-Print hal-01529755, HAL.
- Aneta Wlodarczyk & Iwona Otola, 2016. "Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 16, pages 87-116.
- Mensah, Jones Odei & Premaratne, Gamini, 2014. "Dependence patterns among Banking Sectors in Asia: A Copula Approach," MPRA Paper 60119, University Library of Munich, Germany.
- Fritzsch, Simon & Timphus, Maike & Weiß, Gregor, 2024. "Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?," Journal of Banking & Finance, Elsevier, vol. 158(C).
- Newaz, Mohammad Khaleq & Park, Jin Suk, 2019. "The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 79-94.
- Paravee Maneejuk & Woraphon Yamaka, 2019. "Predicting Contagion from the US Financial Crisis to International Stock Markets Using Dynamic Copula with Google Trends," Mathematics, MDPI, vol. 7(11), pages 1-29, November.
- Supachok Thakolsri & Yuthana Sethapramote & Komain Jiranyakul, 2016.
"Implied Volatility Transmissions Between Thai and Selected Advanced Stock Markets,"
SAGE Open, , vol. 6(3), pages 21582440166, July.
- Thakolsri, Supachok & Sethapramote, Yuthana & Jiranyakul, Komain, 2015. "Implied volatility transmissions between Thai and selected advanced stock markets," MPRA Paper 65901, University Library of Munich, Germany.
- Lee, Chien-Chiang & Chen, Mei-Ping, 2021. "The effects of investor attention and policy uncertainties on cross-border country exchange-traded fund returns," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 830-852.
- Ebenezer Boateng & Emmanuel Asafo-Adjei & John Gartchie Gatsi & ªtefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2022. "Multifrequency-based non-linear approach to analyzing implied volatility transmission across global financial markets," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 699-743, September.
- Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
- Mohammad Sharik Essa & Evangelos Giouvris, 2020. "Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors," JRFM, MDPI, vol. 13(4), pages 1-40, April.
- Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Albulescu, Claudiu T. & Wohar, Mark E., 2020. "Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.
- Xiao, Jihong & Hu, Chunyan & Ouyang, Guangda & Wen, Fenghua, 2019. "Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 80(C), pages 297-309.
- Niţoi, Mihai & Pochea, Maria Miruna, 2020. "Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis," Economic Modelling, Elsevier, vol. 86(C), pages 133-147.